Systems and methods for trades priced relative to a reference benchmark value associated with an underlying index future

ABSTRACT

According to some embodiments, an indication of a trade priced relative to a reference benchmark value (e.g., a trade at index close transaction) associated with an underlying index future may be received when a basis of the trade is agreed to by parties of the trade. Moreover, the indication may be received at least one day prior to a determination of a final price and quantity of the trade. The trade might create, according to some embodiments, any derivative, such as a future, an option, or a combination of put and call options. The trade may be reported and cleared, and it may then be arranged for the trade to physically settle into the underlying index future.

TECHNICAL FIELD

This disclosure relates generally to the field of electronic tradingsystems and in particular to facilitating trades priced relative to areference benchmark value associated with an underlying index future.

BACKGROUND

An exchange may facilitate a customer's ability to invest assets in waysthat track the value of an underlying index. For example, a pension fundmanager may want to invest assets such that the return on investmentwill closely track the value of a stock index. Moreover, in some casesan investor might want to avoid directly purchasing the stock shares.One approach is to invest in futures tied to the index (instead ofactually purchasing the stocks in the index), which tend to closelytrack the value of the underlying index. Since 2011, Block Trade atIndex Close (“BIC”) type trades associated with the NYSE Liffe U.S. haveprovided customers the ability to manage the tracking impact ofexecuting large orders relative to the underlying index level byexplicitly tying the transaction price to the closing level of theunderlying index. For example, mini-MSCI Europe, Australia and Far East(“EAFE”) and mini MSCI Emerging Markets index futures are associatedwith a robust, vibrant market having substantial volumes and openinterest which have proven to be popular with investors (and have beenassociated with $14 billion notional on over 500 transactions).Typically, block trades are executed and reported to the exchange when afinal price and quantity are determined.

Difficulties can arise however, when an international index future(e.g., the EAFE and emerging market index futures) is associated withmultiple time zones. For example, because different markets are openingand closing at different times, the final price and/or quantity of atrade might not be known until one or two days alter the partiesinitiate the trade (e.g., by agreeing to a basis value for the trade).Such a situation can cause problems if trade prices are published and/orsettled before the final price is actually known.

It would therefore be desirable to provide automatic and accuratesystems and methods to facilitate trades priced relative to a referencebenchmark value associated with an underlying index future.

SUMMARY OF THE DISCLOSURE

According to some embodiments, systems, methods, apparatus, computerprogram code and means may be provided to facilitate trades pricedrelative to a reference benchmark value associated with an underlyingindex future. In some embodiments, an indication of a trade pricedrelative to a reference benchmark value associated with an underlyingindex future may be received when a basis of the trade is agreed to byparties of the trade. Moreover, the indication may be received at leastone day prior to a determination of a final price and quantity of thetrade. The trade might create, according to some embodiments, aderivative, such as a future, an option on a future, or a combination ofput and call options. The trade may be reported and cleared, and it maythen be arranged for the trade to physically settle into the underlyingindex future. According to some embodiments, an indication of the trademay be transmitted.

Some embodiments provide: means for receiving an indication of a tradepriced relative to a reference benchmark value associated with anunderlying index future when a basis of the trade is agreed to byparties of the trade at least one day prior to a determination of afinal price and quantity of the trade; means for reporting the trade;means for clearing the trade; and means for arranging for the trade tophysically settle into the underlying index future.

A technical effect of some embodiments of the disclosure is an improvedand computerized method of executing trades priced relative to areference benchmark value associated with an underlying index future.With these and other advantages and features that will becomehereinafter apparent, a more complete understanding of the nature of thedisclosure can be obtained by referring to the following detaileddescription and to the drawings appended hereto.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 is block diagram of a system according to some embodiments of thepresent disclosure.

FIG. 2 illustrates a method according to some embodiments of the presentdisclosure.

FIG. 3 is an example of a trades priced relative to a referencebenchmark value futures system in accordance with some embodiments.

FIG. 4 is a diagram of a trades priced relative to a reference benchmarkvalue futures method according to some embodiments of the presentdisclosure.

FIG. 5 is an example of potential trade at index close specifications inaccordance with some embodiments.

FIG. 6 illustrates a margin analysis for a trade at index close futureaccording to some embodiments.

FIG. 7 is an example of a trades priced relative to a referencebenchmark value options system in accordance with some embodiments.

FIG. 8 is a diagram of a trades priced relative to a reference benchmarkvalue options method according to some embodiments of the presentdisclosure.

FIG. 9 is an example of potential trade at index close optionsspecifications in accordance with some embodiments.

FIG. 10 illustrates a margin analysis for a trade at index close optionaccording to some embodiments.

FIG. 11 is an example of a trades priced relative to a referencebenchmark value combination of put and call options system in accordancewith some embodiments.

FIG. 12 is a diagram of a trades priced relative to a referencebenchmark value combination of put and call options method according tosome embodiments of the present disclosure.

FIG. 13 is an example of potential trade at index close combination ofput and call options specifications in accordance with some embodiments.

FIG. 14 illustrates a margin analysis for a trade at index closecombination of put and call options according to some embodiments.

FIG. 15 is block diagram of a trade priced relative to a referencebenchmark value platform according to some embodiments of the presentdisclosure.

FIG. 16 is a tabular portion of a trade database according to someembodiments.

DETAILED DESCRIPTION

An exchange may facilitate a customer's ability to invest assets in waysthat track the value of an underlying index, For example, a pension fundmanager may want to invest assets such that the return on investmentwill closely track the value of a stock index. Moreover, in some casesan investor might want to avoid directly purchasing the stock shares.One approach is to invest in futures tied to the index (instead ofactually purchasing the stocks in the index), which tend to closelytrack the value of the underlying index. Typically, block trades areexecuted and reported to the exchange when a final price and quantityare determined.

Difficulties can arise however, when an international index future isassociated with multiple time zones. For example, because differentmarkets are opening and closing at different times, the final priceand/or quantity of a trade might not be known until one or two daysafter the parties initiate the trade (e.g., by agreeing to a basis valuefor the trade). Such a situation can cause problems if trade prices arepublished and/or settled before the final price is actually known.

It would therefore be desirable to provide automatic and accuratesystems and methods to facilitate trades priced relative to a referencebenchmark value associated with an underlying index future. Tofacilitate such goals, FIG. 1 is block diagram of a system 100 accordingto some embodiments of the present disclosure. In particular, the system100 includes a trade priced relative to a reference benchmark valueplatform 150 that receives an indication of a selected benchmark to bereferenced in the future. The trade priced relative to a referencebenchmark value platform 150 might be, for example, associated with aPersonal Computer (“PC”), laptop computer, an enterprise server, aserver farm, and/or a database or similar storage devices. The tradepriced relative to a reference benchmark value platform 150 may,according to some embodiments, be associated with a financialinstitution or exchange.

According to some embodiments, an “automated” trade priced relative to areference benchmark value platform 150 may facilitate trading indexfuture instruments. As used herein, the term “automated” may refer to,for example, actions that can be performed with little or no humanintervention.

As used herein, devices, including those associated with the tradepriced relative to a reference benchmark value platform 150 and anyother device described herein, may exchange information via anycommunication network which may be one or more of a Local Area Network(LAN), a Metropolitan Area Network (MAN), a Wide Area Network (WAN), aproprietary network, a financial information network, a Public SwitchedTelephone Network (PSTN), a Wireless Application Protocol (WAP) network,a Bluetooth network, a wireless LAN network, and/or an Internet Protocol(IP) network such as the Internet, an intranet, or an extranet. Notethat any devices described herein may communicate via one or more suchcommunication networks.

The trade priced relative to a reference benchmark value platform 150may also access a trade database 140. The trade database 140 might beoperated, for example, by a government agency or a news service. Thetrade database 140 may be locally stored or reside remote from the tradepriced relative to a reference benchmark value platform 150. As will bedescribed further herein, the trade database 140 may be used by thetrade priced relative to a reference benchmark value platform 150 tohelp facilitate trading index future instruments.

Although a single trade priced relative to a reference benchmark valueplatform 150 is shown in FIG. 1, any number of such devices may beincluded. Moreover, various devices described herein might be combinedaccording to embodiments of the present disclosure. For example, in someembodiments, the trade priced relative to a reference benchmark valueplatform 150 and the trade database 140 might be co-located and/or maycomprise a single apparatus. According to some embodiments, the tradespriced relative to a reference benchmark value platform 150 receivestrade information (e.g., from an administrator or from another device)and provides information to an external platform 160 (which might beassociated with, for example, a pension fund manager). Moreover, thetrade priced relative to a reference benchmark value platform 150 mayautomatically and directly output data to one or more external systems,such as report generators, email servers, workflow applications, etc.

FIG. 2 illustrates a method that might be performed, for example, bysome or all of the elements of the system 100 described with respect toFIG. 1 according to some embodiments of the present disclosure. The flowcharts described herein do not imply a fixed order to the steps, andembodiments of the present disclosure may be practiced in any order thatis practicable. Note that any of the methods described herein may beperformed by hardware, software, or any combination of these approaches.For example, a computer-readable storage medium may store thereoninstructions that when executed by a machine result in performanceaccording to any of the embodiments described herein.

At S210, an indication of a trade priced relative to a “referencebenchmark value associated with an underlying index future may bereceived when a basis of the transaction is agreed to by parties of thetransaction prior to a determination of a final price and quantity ofthe trade. As used herein, the phrase “reference benchmark value” may beassociated with, for example, an index close, an index open, an exchangedaily settlement price, and a volume weighted average price over time.Moreover the basis of the trade may be agreed to by parties of the tradeat least one day prior to the determination of the final price andquantity of the trade.

At S220, the trade may be reported. At S230, the trade may be cleared.At S240, it may be arranged for the trade to physically settle into theunderlying index future. As will be described, embodiments of thepresent disclosure might be associated with any trade priced relative toa reference benchmark value derivatives approach, including a tradepriced relative to a reference benchmark value futures approach, optionsapproach, and/or a combination of put and call options approach.Moreover, the derivative created by the trade may be listed on a centralorder book and/or be available for block trading. Further note that someembodiments may be associated with a mini-MSCI “EAFE” (Europe,Australasia and Far East) index future arid/or a mini-MSCI EmergingMarkets (“EM”) index future.

Some embodiments described herein use “futures” to facilitate blocktrades priced relative to a reference benchmark value associated with anunderlying index future. That is, a future-on-a-future may be utilized.As used herein, the term “future” may refer to, for example, anagreement between two parties to buy or sell a specified asset for aprice agreed upon today (the futures price or strike price) withdelivery and payment occurring at a specified future date.

FIG. 3 is an example of a trades priced relative to a referencebenchmark value futures system 300 in accordance with some embodiments.As in FIG. 1, a trade priced relative to a reference benchmark valueplatform 350 may receive an indication of a trade priced relative to areference benchmark value associated with an underlying index future.According to this embodiment, after the trade clears 352, the futuresettles 354 and information about the trade may be stored in a futuresdatabase 340 and/or be transmitted to a reporting platform 360. FIG. 4is a diagram of a trades priced relative to a reference benchmark valuefutures method 400 according to some embodiments of the presentdisclosure. At 5410, an indication of a trade priced relative to a atreference benchmark value associated with an underlying index future maybe received when a basis of the transaction is agreed to by parties ofthe transaction at least one day prior to a determination of a finalprice and quantity of the trade. At 5420, the trade may dear and thefuture may settle into the underlying index future at 5430. FIG. 5 is anexample of potential trade at index close futures specifications 500 forboth a mini-MSCI EAFE IC future 510 and a mini-MSCI Emerging Markets ICfuture 520 in accordance with some embodiments. Although the example ofFIG. 5 is associated with a trade at index close, note that other typesof trades priced relative to reference benchmark values may be usedinstead.

Consider, for example, a mini-MSCI EAFE trade at index close futureexample. On Monday at 3:30 PM New York time, a buyer and seller trade141 EAFE IC futures at 106.32 (implying a basis of 6.32 and notionalvalue of $316 per contract). The trade clears and settles at a basis of6.32. According to some embodiments, the trade is marked to market atthe closing basis settlement value. The next day's official closingindex level of 1,409.13 is available at 2:00 PM New York time onTuesday. On Tuesday evening, the EAFE IC future may settle to a value of100 and creates a position in 141 mini MSCI EAFE futures (ticker “MFS”)having an Exchange Delivery Settlement Price (“EDSP”) of 1,409.13.

As another example, consider a mini-MSCI EM trade at index close futuretransaction. On Monday at 1:30 PM New York time, a buyer and a sellertrade 334 EM IC futures at 97.74 (implying a basis of −2.26 and notionalvalue of −$203 per contract). The trade clears and settles at a basis of−2.26. The trade is marked to market at closing basis settlement value.The next day's official closing index level of 900.11 is available at6:30 PM NY time on Tuesday. On Tuesday evening, the EM IC future settlesto a value of 100 and creates a position in 334 mini-MSCI EM futures(MME) at ED SP of 900.11.

FIG. 6 illustrates a margin analysis 600 for a trade at index closefuture according to some embodiments. The analysis 600 compares anexisting trade at index close process 610 with a trade at index closefutures process 620. In the example of FIG. 6, on day “T” it is agreedthat a basis of +6.32 will be established for a trade against the nextday's index close in EAFE. Moreover, on day T+1, the index closes at1409.13 (implying a trade price of 1,415.45). As can be seen, theexisting process 610 is associated with a single transaction on day T+1while the futures process 620 has transactions on both day T and dayT+1.

FIGS. 3 through 6 describe the use of a future to facilitate tradespriced relative to a reference benchmark value associated with anunderlying index future. According to other embodiments, other types ofderivatives may be used instead. For example, “options” may be used tofacilitate trades priced relative to a reference benchmark valueassociated with an underlying index future. That is, anoption-on-a-future may be utilized. As used herein, the term “option”may refer to, for example, an agreement which gives an owner the right,but not the obligation, to buy or sell an underlying asset or instrumentat a specified strike price on or before a specified date.

FIG. 7 is an example of a trades priced relative to a referencebenchmark value options system 700 in accordance with some embodiments.As in FIG. 1, a trade priced relative to a reference benchmark valueplatform 750 may receive an indication of a trade priced relative to areference benchmark value associated with an underlying index future.According to this embodiment, after the trade clears 752, an optionsettles 754 and information about the trade may be stored in an optionsdatabase 740 and/or be transmitted to a reporting platform 760. FIG. 8is a diagram of a trades priced relative to a reference benchmark valueoptions method 800 according to some embodiments of the presentdisclosure. At S810, an indication of a trades priced relative to areference benchmark value associated with an underlying index future maybe received when a basis of the transaction is agreed to by parties ofthe trade at least one day prior to a determination of a final price andquantity of the trade. At S820, the trade may clear and an option maysettle into the underlying index future at S830. FIG. 9 is an example ofpotential trade at index close options specifications 900 for both amini-MSCI EAFE IC option 910 and a mini-MSCI Emerging Markets IC option920 in accordance with some embodiments. Although the example of FIG. 9is associated with a trade at index close, note that other types ofreference benchmark values may be used instead.

For example, on Monday at 3:30 PM New York time, a basis buyer may buy,and a basis seller may sell, 141 EAFE IC calls at 106.32 (implying abasis of 6.32 and notional value of $316 per contract). The trade clearsand settles at a premium of 6.32. The next day's official closing indexlevel of 1,409,13 is available at 2:00 PM New York time on Tuesday. OnTuesday evening, the EAFE IC option settles to a value of 100 and isautomatically exercised into 141 mini MSCI EAFE futures (MFS) at EDSP of1,409.13.

As another example, on Monday at 1:30 PM New York time, a basis buyersells, and a basis seller buys, 334 EM IC puts at 97.74 (implying abasis of −2.26 and notional value of −$203 per contract). The tradeclears and settles at a premium of −2.26. The next day's officialclosing index level of 900.11 is available at 6:30 PM New York time onTuesday. On Tuesday evening, the EM IC option settles to a value of 100and is automatically exercised into 334 mini MSCI EM futures (MME) atEDSP of 900.11.

FIG. 10 illustrates a margin analysis 1000 for a trade at index closeoption according to some embodiments. The analysis 1000 compares anexisting trade at index close process 1010 with a trade at index closeoptions process with a positive basis 1020 and an option process with anegative basis 1030. In the example of FIG. 10, on day “T” it is agreedthat a basis of +6.32 will be established for a trade against the nextday's index close in EAFE. Moreover, on day T+1, the index closes at1409.13 (implying a trade price of 1,415.45). As can be seen, theexisting process 1010 is associated with a single transaction on day T+1while the options processes 1020, 1030 both have transactions on days Tand day T+1.

FIGS. 7 through 10 describe the use of an option to facilitate tradespriced relative to a reference benchmark value associated with anunderlying index future. According to other embodiments, “puts” and“calls” may be used to facilitate trades priced relative to a referencebenchmark value associated with an underlying index future. That is, acombination of put and call options-on-a-future may be utilized. FIG. 11is an example of a trades priced relative to a reference benchmark valuecombination of put and call options system 1100 in accordance with someembodiments. As in FIG. 1, a trade priced relative to a referencebenchmark value platform 1150 may receive an indication of a tradepriced relative to a reference benchmark value associated with anunderlying index future. According to this embodiment, after the tradeclears 1152, the combination of put and call options settle 1154 andinformation about the trade may be stored in a combination of put andcall options database 1140 and/or be transmitted to a reporting platform1160. FIG. 12 is a diagram of a trades priced relative to a referencebenchmark value combination of put and call options method 1200according to some embodiments of the present disclosure. At S1210, anindication of a trade priced relative to a reference benchmark valueassociated with an underlying index future may be received when a basisof the transaction is agreed to by parties of the trade at least one dayprior to a determination of a final price and quantity of the trade. AtS1220, the trade may clear and the combination of put and call optionsmay settle into the underlying index future at S1230. FIG. 13 is anexample of a potential specification for a trade priced relative to areference benchmark value options 1300 for both a mini-MSCI EAFE ICoption 1310 and a mini-MSCI Emerging Markets IC option 1320 inaccordance with some embodiments. Although the example of FIG. 13 isassociated with a trade at index close, note that other types ofreference benchmark values may be used instead.

For example, on Monday at 3:30 PM New York time, a buyer and a sellertrade 141 EAFE IC futures option combos (long 1410 call and short 1410put) at net cost of 6.32. The trade legs clear and settle at a netpremium of 6.32. The next day's official closing index level of 1,409.13is available at 2:00 PM New York time on Tuesday. On Tuesday evening,the call expires worthless and the short put is assigned 141 mini MSCIEAFE futures (WS) at EDSP of 1,409.13.

As another example, on Monday at 1:30 PM New York time, the buyer andseller trade 334 EM IC futures option combos (long 900 call and short900 put) at −2.26. The trade clears and settles at a net premium creditof −2.26. The next day's official closing index level of 900.11 isavailable at 6:30 PM New York time on Tuesday. On Tuesday evening, theput expires worthless and the long call is automatically exercised into334 mini MSCI EM futures (“MME”) at EDSP of 900.11.

FIG. 14 illustrates a margin analysis 1400 for a trade at index closecombination of put and call options according to some embodiments. Theanalysis 1400 compares an existing trade at index close process 1410with a trade at index close combination of put and call options process1420. In the example of FIG. 14, on day “T” it is agreed that a basis of+6.32 will be established for a trade against the next day's index closein EAFE. Moreover, on day T+1, the index closes at 1409.13 (implying atrade price of 1,415.45). As can be seen, the existing process 1410 isassociated with a single transaction on day T+1 while the combination ofput and call options process 1420, 1430 has trades on both days T andday T+1.

The embodiments described herein may be implemented using any number ofdifferent hardware configurations. For example, FIG. 15 illustrates atrade priced relative to a reference benchmark value platform 1500 thatmay be, for example, associated with any of the embodiments describedherein. The trade priced relative to a reference benchmark valueplatform 1500 comprises a processor 1510, such as one or morecommercially available Central Processing Units (CPUs) in the form ofone-chip microprocessors, coupled to a communication device 1520configured to communicate via a communication network (not shown in FIG.15). The communication device 1520 may be used to communicate, forexample, with one or more remote devices or third-party data services.The trade priced relative to a reference benchmark value platform 1500further includes an input device 1540 (e.g., a mouse and/or keyboard toenter trade information) and an output device 1550 (e.g., a computermonitor to display trade results and reports to an operator oradministrator).

The processor 1510 also communicates with a storage device 1530. Thestorage device 1530 may comprise any appropriate information storagedevice, including combinations of magnetic storage devices (e.g., a harddisk drive), optical storage devices, mobile telephones, vehiclecomputers, and/or semiconductor memory devices. The storage device 1530stores a program 1512 and/or a customer analytics tool 1514 (e.g., aninteractive application) for controlling the processor 1510. Theprocessor 1510 performs instructions of the programs 1512, 1514, andthereby operates in accordance with any of the embodiments describedherein. For example, the processor 1510 may receive an indication of atrade priced relative to a reference benchmark value associated with anunderlying index future when a basis of the transaction is agreed to byparties of the trade. Moreover, the indication may be received at leastone day prior to a determination of a final price and quantity of thetrade. The trade might create, according to some embodiments, otherderivatives, such as a future, an option, or a combination of put andcall options. The trade may be reported and cleared by the processor1510, and it may then be arranged for the trade to physically settleinto the underlying index future. According to some embodiments, theprocessor 1510 transmits an indication of the trade to an externalplatform (e.g., via communication port 1520).

The programs 1512, 1514 may be stored in a compressed, uncompiled and/orencrypted format. The programs 1512, 1514 may furthermore include otherprogram elements, such as an operating system, a database managementsystem, and/or device drivers used by the processor 1510 to interfacewith peripheral devices.

As used herein, information may be “received” by or “transmitted” to,for example: (i) the trade priced relative to a reference benchmarkvalue platform 1500 from another device; or (ii) a software applicationor module within the trade priced relative to a reference benchmarkvalue platform 1500 from another software application, module, or anyother source.

In some embodiments (such as shown in FIG. 15), the storage device 1530stores a settlement database 1550, a trade database 1600, and areporting database 1560. An example of a database that may be used inconnection with the trade priced relative to a reference benchmark valueplatform 1500 will now be described in detail with respect to FIG. 16.Note that the database described herein is only one example, andadditional and/or different information may be stored therein. Moreover,various databases might be split or combined in accordance with any ofthe embodiments described herein.

Referring to FIG. 16, a table is shown that represents the tradedatabase 1600 that may be stored at the trade priced relative to areference benchmark value platform 1500 according to some embodiments.The table may include, for example, entries identifying trades that havebeen processed, or are being processed, by the system. The table mayalso define fields 1602, 1604, 1606, 1608 for each of the entries. Thefields 1602, 1604, 1606, 1608 may, according to some embodiments,specify: a trade identifier 1602, a description 1604, a date 1606, andrelated data 1608. The information in the trade database 1600 may becreated and updated, for example, based on information received fromexternal devices and/or administrators.

The trade identifier 1602 may be, for example, a unique alphanumericcode identifying a trade priced relative to a reference benchmark valueplatform. The description 1604 might indicate, for example, how a tradeassociated with an underlying index future is being handled (e.g., witha future, an option, or a combination of put and call options). The date1606 might indicate when the trade was initiated, cleared, and/orsettled. The related data 1608 might indicate whether the trade ispending or in process, financial values (e.g., an agreed basis, a finalprice, and a quantity), parties to the trade, etc.

The following illustrates various additional embodiments of thedisclosure. These do not constitute a definition of all possibleembodiments, and those skilled in the art will understand that thepresent disclosure is applicable to many other embodiments. Further,although the following embodiments are briefly described for clarity,those skilled in the art will understand how to make any changes, ifnecessary, to the above-described apparatus and methods to accommodatethese and other embodiments and applications.

Although specific hardware and data configurations have been describedherein, note that any number of other configurations may be provided inaccordance with embodiments of the present disclosure (e.g., some of theinformation associated with the databases described herein may becombined or stored in external systems).

Applicants have discovered that embodiments described herein may beparticularly useful in connection with particular types of instrumentexchanges. Further, note that MSCI is used herein only as an example,and embodiments may apply to automated reference benchmark value ordertypes for any index. Note, moreover, that other types of interactionsmay also benefit from the disclosure. For example, embodiments of thepresent disclosure may be used in connection with other types ofinstrument exchanges.

The present disclosure has been described in terms of severalembodiments solely for the purpose of illustration. Persons skilled inthe art will recognize from this description that the disclosure is notlimited to the embodiments described, but may be practiced withmodifications and alterations limited only by the spirit and scope ofthe appended claims.

1. A system associated with trades that are priced relative to a reference benchmark value, comprising: a communication device to receive an indication of a trade that is priced relative to the reference benchmark value associated with an underlying index future when a basis of the trade is agreed to by parties of the trade at least one day prior to a determination of a final price and quantity of the trade; a computer processor for executing program instructions; and a memory, coupled to the computer processor, for storing program instructions for execution by the computer processor to: report the trade, clear the trade, and arrange for the trade to physically settle into the underlying index future.
 2. The system of claim 1, wherein the reference benchmark value is associated with at least one of (i) an index close, (ii) an index open, (iii) an exchange daily settlement price, and (iv) a volume weighted average price over time.
 3. The system of claim 1, wherein the trade creates a derivative on the underlying index future.
 4. The system of claim 3, wherein the derivative comprises one of (i) a future on the underlying index future, (ii) an option on the underlying index future, and (iii) a combination of put and call options on the underlying index future.
 5. The system of claim 3, wherein the derivative created by the trade is listed on a central order book.
 6. The system of claim 5, wherein the trade is available for block trading.
 7. The system of claim 1, wherein said reporting and clearing are associated with a mini-MSCI “EAFE” (Europe, Australasia and Far East) index trade at index close future, option, or a combination of put and call options.
 8. The system of claim 1, wherein said reporting and clearing are associated with a mini-MS CI Emerging Markets index trade at index close future, option, or a combination of put and call options.
 9. A computer-implemented method associated with trades priced relative to a reference benchmark value, comprising: receiving an indication of a trade priced relative to a reference benchmark value associated with an underlying index future when a basis of the transaction is agreed to by parties of the trade at least one day prior to a determination of a final price and quantity of the trade; reporting the trade; clearing the trade; and arranging for the trade to physically settle into the underlying index future.
 10. The method of claim 9, wherein the reference benchmark value is associated with at least one of (i) an index close, (ii) an index open, (iii) an exchange daily settlement price, and (iv) a volume weighted average price over time.
 11. The method of claim 9, wherein the trade creates a derivative on the underlying index future.
 12. The method of claim 11, wherein the derivative comprises one of (i) a future on the underlying index future, (ii) an option on the underlying index future, and (iii) a combination of put and call options on the underlying index future.
 13. The method of claim 11, wherein the derivative created by the trade is listed on a central order book.
 14. The method of claim 13, wherein the trade is available for block trading.
 15. The method of claim 9, wherein said reporting and clearing are associated with a mini-MSCI “EAFE” (Europe, Australasia and Far East) index trade at index close future, option, or a combination of put and call options.
 16. The method of claim 9, wherein said reporting and clearing are associated with a mini-MSCI Emerging Markets index trade at index close future, option, or a combination of put and call options.
 17. A non-transitory computer-readable medium storing instructions adapted to be executed by a computer processor to perform a method associated with trades priced relative to a reference benchmark value, said method comprising: receiving an indication of a trade priced relative to a at reference benchmark value associated with an underlying index future when a basis of the transaction is agreed to by parties of the trade at least one day prior to a determination of a final price and quantity of the trade; reporting the trade; clearing the trade; and arranging for the trade to physically settle into the underlying index future.
 18. The medium of claim 18, wherein the reference benchmark value is associated with at least one of (i) an index close, (ii) an index open, (iii) an exchange daily settlement price, and (iv) a volume weighted average price over time.
 19. The medium of claim 17, wherein the trade creates a derivative on the underlying index future.
 20. The medium of claim 19, wherein the derivative comprises one of (i) a future on the underlying index future, (ii) an option on the underlying index future, and (iii) a combination of put and call options on the underlying index future.
 21. The medium of claim 19, wherein the derivative created by the trade is listed on a central order book.
 22. The medium of claim 21, wherein the trade is available for block trading.
 23. The medium of claim 17, wherein said reporting and clearing are associated with a mini-MSCI “EAFE” (Europe, Australasia and Far East) index trade at index close future, option, or a combination of put and call options.
 24. The medium of claim 17, wherein said reporting and clearing are associated with a mini-MSCI Emerging Markets index trade at index dose future, option, or a combination of put and call options. 